Performance of Delta-hedging strategies in interval models - A robustness study
| Year of publication: |
1999
|
|---|---|
| Authors: | Engwerda, Jacob ; Schumacher, Johannes M. ; Roorda, B. |
| Institutions: | Tilburg University, Center for Economic Research |
| Subject: | hedging | volatility | option pricing |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series CentER Discussion Paper Number 1999-05 |
| Classification: | G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10011092341